Approximate Bayesian inference in semiparametric copula models

DOI10.1214/17-BA1080MaRDI QIDQ1699701zbMATH OpenFDO

Authors C. Grazian, Brunero Liseo

Publication date 23 February 2018

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.02912, https://projecteuclid.org/euclid.ba/1510110045

zbMATH Keywords

Spearman's \(\rho\)multivariate dependencetail dependence coefficientsBayesian exponentially tilted empirical likelihoodpartially specified models

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12)

Abstract: We describe a simple method for making inference on a functional of a multivariate distribution. The method is based on a copula representation of the multivariate distribution and it is based on the properties of an Approximate Bayesian Monte Carlo algorithm, where the proposed values of the functional of interest are weighed in terms of their empirical likelihood. This method is particularly useful when the "true" likelihood function associated with the working model is too costly to evaluate or when the working model is only partially specified.

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